Social Sharing
Extended Viewer
Quantitative Insight - Comparing GEM2 and GEM3: Portfolio Construction and Turnover
Mar 24, 2012
The methodological enhancements introduced in the new Barra Global Equity Model (GEM3) are designed to improve risk forecasts for optimized portfolios. In this paper, we investigate the turnover and forecasting accuracy of optimized portfolios generated using GEM3, and compare them with those generated using the model’s predecessor, GEM2. By testing various investment strategies during the period 2007-2011, we found no systematic difference in turnover; in fact, the GEM3 risk forecasts were found to be more accurate.
Regulation
Cookie Preferences
Accept all cookies
This website uses cookies to remember users and understand ways to enhance their experience.
For more information, please visit our Cookie Notice.
Strictly Necessary, Functionality and Performance Cookies
We use cookies to enable you to move around our website and use its features, to provide you with functionality by remembering choices you make and provide enhanced features, and to learn how our website is performing and make improvements.
For more information, please visit our Cookie Notice.